quantile_risk: Extract Conditional Quantile from 'fars_density' Object

In FARS: Factor-Augmented Regression Scenarios

Extract Conditional Quantile from fars_density Object

Description

Computes the conditional quantile (e.g., 5th percentile) from a simulated skew-t distribution, The result corresponds to the risk measure (e.g., Growth-at-Risk, Growth-in-Stress etc.).

Usage

quantile_risk(density, qtau = 0.05)

Arguments

density	An object of class fars_density, which is returned by compute_density()
qtau	A numeric value between 0 and 1 indicating the quantile to extract (e.g., 0.05 for the 5th percentile). Default is 0.05.

Value

A numeric vector of conditional quantiles (one observation for each time period).

Examples

quantiles <- matrix(rnorm(500), ncol = 5)
fars_density <- compute_density(quantiles, seed = 42)
GaR <- quantile_risk(fars_density, qtau = 0.05)

FARS documentation built on Feb. 17, 2026, 5:06 p.m.